The correct syntax for adding column into table is:
ALTER TABLE table_name
ADD column_name column-definition;
In your case it will be:
ALTER TABLE Employees
ADD EmployeeID int NOT NULL IDENTITY (1, 1)
To add multiple columns use brackets:
ALTER TABLE table_name
ADD (column_1 column-definition,
column_2 column-definition,
...
column_n column_definition);
COLUMN keyword in SQL SERVER is used only for altering:
ALTER TABLE table_name
ALTER COLUMN column_name column_type;